date, nyse market hours range.

2016-07-21 22:09:09 -07:00 · 2016-07-21 22:09:09 -07:00 · c4066176cf
commit c4066176cf
parent c2f7c99c3f
4 changed files with 462 additions and 0 deletions
--- a/date/date.go
+++ b/date/date.go
@ -0,0 +1,305 @@
+package date
+
+import (
+	"sync"
+	"time"
+)
+
+const (
+	// AllDaysMask is a bitmask of all the days of the week.
+	AllDaysMask = 1<<uint(time.Sunday) | 1<<uint(time.Monday) | 1<<uint(time.Tuesday) | 1<<uint(time.Wednesday) | 1<<uint(time.Thursday) | 1<<uint(time.Friday) | 1<<uint(time.Saturday)
+	// WeekDaysMask is a bitmask of all the weekdays of the week.
+	WeekDaysMask = 1<<uint(time.Monday) | 1<<uint(time.Tuesday) | 1<<uint(time.Wednesday) | 1<<uint(time.Thursday) | 1<<uint(time.Friday)
+	//WeekendDaysMask is a bitmask of the weekend days of the week.
+	WeekendDaysMask = 1<<uint(time.Sunday) | 1<<uint(time.Saturday)
+)
+
+var (
+	// DaysOfWeek are all the time.Weekday in an array for utility purposes.
+	DaysOfWeek = []time.Weekday{
+		time.Sunday,
+		time.Monday,
+		time.Tuesday,
+		time.Wednesday,
+		time.Thursday,
+		time.Friday,
+		time.Saturday,
+	}
+
+	// WeekDays are the business time.Weekday in an array.
+	WeekDays = []time.Weekday{
+		time.Monday,
+		time.Tuesday,
+		time.Wednesday,
+		time.Thursday,
+		time.Friday,
+	}
+
+	// WeekendDays are the weekend time.Weekday in an array.
+	WeekendDays = []time.Weekday{
+		time.Sunday,
+		time.Saturday,
+	}
+
+	//Epoch is unix epoc saved for utility purposes.
+	Epoch = time.Unix(0, 0)
+)
+
+var (
+	_easternLock sync.Mutex
+	_eastern     *time.Location
+)
+
+// Eastern returns the eastern timezone.
+func Eastern() *time.Location {
+	if _eastern == nil {
+		_easternLock.Lock()
+		defer _easternLock.Unlock()
+		if _eastern == nil {
+			_eastern, _ = time.LoadLocation("America/New_York")
+		}
+	}
+	return _eastern
+}
+
+// Optional returns a pointer reference to a given time.
+func Optional(t time.Time) *time.Time {
+	return &t
+}
+
+// IsWeekDay returns if the day is a monday->friday.
+func IsWeekDay(day time.Weekday) bool {
+	return !IsWeekendDay(day)
+}
+
+// IsWeekendDay returns if the day is a monday->friday.
+func IsWeekendDay(day time.Weekday) bool {
+	return day == time.Saturday || day == time.Sunday
+}
+
+// BeforeDate returns if a timestamp is strictly before another date (ignoring hours, minutes etc.)
+func BeforeDate(before, reference time.Time) bool {
+	if before.Year() < reference.Year() {
+		return true
+	}
+	if before.Month() < reference.Month() {
+		return true
+	}
+	return before.Year() == reference.Year() && before.Month() == reference.Month() && before.Day() < reference.Day()
+}
+
+// IsNYSEHoliday returns if a date was/is on a nyse holiday day.
+func IsNYSEHoliday(t time.Time) bool {
+	te := t.In(Eastern())
+	if te.Year() == 2013 {
+		if te.Month() == 1 {
+			return te.Day() == 1 || te.Day() == 21
+		} else if te.Month() == 2 {
+			return te.Day() == 18
+		} else if te.Month() == 3 {
+			return te.Day() == 29
+		} else if te.Month() == 5 {
+			return te.Day() == 27
+		} else if te.Month() == 7 {
+			return te.Day() == 4
+		} else if te.Month() == 9 {
+			return te.Day() == 2
+		} else if te.Month() == 11 {
+			return te.Day() == 28
+		} else if te.Month() == 12 {
+			return te.Day() == 25
+		}
+	} else if te.Year() == 2014 {
+		if te.Month() == 1 {
+			return te.Day() == 1 || te.Day() == 20
+		} else if te.Month() == 2 {
+			return te.Day() == 17
+		} else if te.Month() == 4 {
+			return te.Day() == 18
+		} else if te.Month() == 5 {
+			return te.Day() == 26
+		} else if te.Month() == 7 {
+			return te.Day() == 4
+		} else if te.Month() == 9 {
+			return te.Day() == 1
+		} else if te.Month() == 11 {
+			return te.Day() == 27
+		} else if te.Month() == 12 {
+			return te.Day() == 25
+		}
+	} else if te.Year() == 2015 {
+		if te.Month() == 1 {
+			return te.Day() == 1 || te.Day() == 19
+		} else if te.Month() == 2 {
+			return te.Day() == 16
+		} else if te.Month() == 4 {
+			return te.Day() == 3
+		} else if te.Month() == 5 {
+			return te.Day() == 25
+		} else if te.Month() == 7 {
+			return te.Day() == 3
+		} else if te.Month() == 9 {
+			return te.Day() == 7
+		} else if te.Month() == 11 {
+			return te.Day() == 26
+		} else if te.Month() == 12 {
+			return te.Day() == 25
+		}
+	} else if te.Year() == 2016 {
+		if te.Month() == 1 {
+			return te.Day() == 1 || te.Day() == 18
+		} else if te.Month() == 2 {
+			return te.Day() == 15
+		} else if te.Month() == 3 {
+			return te.Day() == 25
+		} else if te.Month() == 5 {
+			return te.Day() == 30
+		} else if te.Month() == 7 {
+			return te.Day() == 4
+		} else if te.Month() == 9 {
+			return te.Day() == 5
+		} else if te.Month() == 11 {
+			return te.Day() == 24 || te.Day() == 25
+		} else if te.Month() == 12 {
+			return te.Day() == 26
+		}
+	} else if te.Year() == 2017 {
+		if te.Month() == 1 {
+			return te.Day() == 1 || te.Day() == 16
+		} else if te.Month() == 2 {
+			return te.Day() == 20
+		} else if te.Month() == 4 {
+			return te.Day() == 15
+		} else if te.Month() == 5 {
+			return te.Day() == 29
+		} else if te.Month() == 7 {
+			return te.Day() == 4
+		} else if te.Month() == 9 {
+			return te.Day() == 4
+		} else if te.Month() == 11 {
+			return te.Day() == 23
+		} else if te.Month() == 12 {
+			return te.Day() == 25
+		}
+	} else if te.Year() == 2018 {
+		if te.Month() == 1 {
+			return te.Day() == 1 || te.Day() == 15
+		} else if te.Month() == 2 {
+			return te.Day() == 19
+		} else if te.Month() == 3 {
+			return te.Day() == 30
+		} else if te.Month() == 5 {
+			return te.Day() == 28
+		} else if te.Month() == 7 {
+			return te.Day() == 4
+		} else if te.Month() == 9 {
+			return te.Day() == 3
+		} else if te.Month() == 11 {
+			return te.Day() == 22
+		} else if te.Month() == 12 {
+			return te.Day() == 25
+		}
+	}
+	return false
+}
+
+// MarketOpen returns 0930 on a given day.
+func MarketOpen(on time.Time) time.Time {
+	onEastern := on.In(Eastern())
+	return time.Date(onEastern.Year(), onEastern.Month(), onEastern.Day(), 9, 30, 0, 0, Eastern())
+}
+
+// MarketClose returns 1600 on a given day.
+func MarketClose(on time.Time) time.Time {
+	onEastern := on.In(Eastern())
+	return time.Date(onEastern.Year(), onEastern.Month(), onEastern.Day(), 16, 0, 0, 0, Eastern())
+}
+
+// NextMarketOpen returns the next market open after a given time.
+func NextMarketOpen(after time.Time) time.Time {
+	afterEastern := after.In(Eastern())
+	todaysOpen := MarketOpen(afterEastern)
+
+	if afterEastern.Before(todaysOpen) && IsWeekDay(todaysOpen.Weekday()) && !IsNYSEHoliday(todaysOpen) {
+		return todaysOpen
+	}
+
+	if afterEastern.Equal(todaysOpen) { //rare but it might happen.
+		return todaysOpen
+	}
+
+	for cursorDay := 1; cursorDay < 6; cursorDay++ {
+		newDay := todaysOpen.AddDate(0, 0, cursorDay)
+		if IsWeekDay(newDay.Weekday()) && !IsNYSEHoliday(afterEastern) {
+			return time.Date(newDay.Year(), newDay.Month(), newDay.Day(), 9, 30, 0, 0, Eastern())
+		}
+	}
+	return Epoch //we should never reach this.
+}
+
+// NextMarketClose returns the next market close after a given time.
+func NextMarketClose(after time.Time) time.Time {
+	afterEastern := after.In(Eastern())
+
+	todaysClose := MarketClose(afterEastern)
+	if afterEastern.Before(todaysClose) && IsWeekDay(todaysClose.Weekday()) && !IsNYSEHoliday(todaysClose) {
+		return todaysClose
+	}
+
+	if afterEastern.Equal(todaysClose) { //rare but it might happen.
+		return todaysClose
+	}
+
+	for cursorDay := 1; cursorDay < 6; cursorDay++ {
+		newDay := todaysClose.AddDate(0, 0, cursorDay)
+		if IsWeekDay(newDay.Weekday()) && !IsNYSEHoliday(newDay) {
+			return time.Date(newDay.Year(), newDay.Month(), newDay.Day(), 16, 0, 0, 0, Eastern())
+		}
+	}
+	return Epoch //we should never reach this.
+}
+
+// CalculateMarketSecondsBetween calculates the number of seconds the market was open between two dates.
+func CalculateMarketSecondsBetween(start, end time.Time) (seconds int64) {
+	se := start.In(Eastern())
+	ee := end.In(Eastern())
+
+	startMarketOpen := NextMarketOpen(se)
+	startMarketClose := NextMarketClose(se)
+
+	if (se.Equal(startMarketOpen) || se.After(startMarketOpen)) && se.Before(startMarketClose) {
+		seconds += int64(startMarketClose.Sub(se) / time.Second)
+	}
+
+	cursor := NextMarketOpen(startMarketClose)
+	for BeforeDate(cursor, ee) {
+		if IsWeekDay(cursor.Weekday()) && !IsNYSEHoliday(cursor) {
+			close := NextMarketClose(cursor)
+			seconds += int64(close.Sub(cursor) / time.Second)
+		}
+		cursor = cursor.AddDate(0, 0, 1)
+	}
+
+	finalMarketOpen := NextMarketOpen(cursor)
+	finalMarketClose := NextMarketClose(cursor)
+	if end.After(finalMarketOpen) {
+		if end.Before(finalMarketClose) {
+			seconds += int64(end.Sub(finalMarketOpen) / time.Second)
+		} else {
+			seconds += int64(finalMarketClose.Sub(finalMarketOpen) / time.Second)
+		}
+	}
+
+	return
+}
+
+// Format returns a string representation of a date.
+func format(t time.Time) string {
+	return t.Format("2006-01-02")
+}
+
+// Parse parses a date from a string.
+func parse(str string) time.Time {
+	res, _ := time.Parse("2006-01-02", str)
+	return res
+}
--- a/date/date_test.go
+++ b/date/date_test.go
@ -0,0 +1,87 @@
+package date
+
+import (
+	"testing"
+	"time"
+
+	assert "github.com/blendlabs/go-assert"
+)
+
+func TestBeforeDate(t *testing.T) {
+	assert := assert.New(t)
+
+	assert.True(BeforeDate(parse("2015-07-02"), parse("2016-07-01")))
+	assert.True(BeforeDate(parse("2016-06-01"), parse("2016-07-01")))
+	assert.True(BeforeDate(parse("2016-07-01"), parse("2016-07-02")))
+
+	assert.False(BeforeDate(parse("2016-07-01"), parse("2016-07-01")))
+	assert.False(BeforeDate(parse("2016-07-03"), parse("2016-07-01")))
+	assert.False(BeforeDate(parse("2016-08-03"), parse("2016-07-01")))
+	assert.False(BeforeDate(parse("2017-08-03"), parse("2016-07-01")))
+}
+
+func TestNextMarketOpen(t *testing.T) {
+	assert := assert.New(t)
+
+	beforeOpen := time.Date(2016, 07, 18, 9, 0, 0, 0, Eastern())
+	todayOpen := time.Date(2016, 07, 18, 9, 30, 0, 0, Eastern())
+
+	afterOpen := time.Date(2016, 07, 18, 9, 31, 0, 0, Eastern())
+	tomorrowOpen := time.Date(2016, 07, 19, 9, 30, 0, 0, Eastern())
+
+	afterFriday := time.Date(2016, 07, 22, 9, 31, 0, 0, Eastern())
+	mondayOpen := time.Date(2016, 07, 25, 9, 30, 0, 0, Eastern())
+
+	weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Eastern())
+
+	assert.True(todayOpen.Equal(NextMarketOpen(beforeOpen)))
+	assert.True(tomorrowOpen.Equal(NextMarketOpen(afterOpen)))
+	assert.True(mondayOpen.Equal(NextMarketOpen(afterFriday)))
+	assert.True(mondayOpen.Equal(NextMarketOpen(weekend)))
+
+	testRegression := time.Date(2016, 07, 18, 16, 0, 0, 0, Eastern())
+	shouldbe := time.Date(2016, 07, 19, 9, 30, 0, 0, Eastern())
+
+	assert.True(shouldbe.Equal(NextMarketOpen(testRegression)))
+}
+
+func TestNextMarketClose(t *testing.T) {
+	assert := assert.New(t)
+
+	beforeClose := time.Date(2016, 07, 18, 15, 0, 0, 0, Eastern())
+	todayClose := time.Date(2016, 07, 18, 16, 00, 0, 0, Eastern())
+
+	afterClose := time.Date(2016, 07, 18, 16, 1, 0, 0, Eastern())
+	tomorrowClose := time.Date(2016, 07, 19, 16, 00, 0, 0, Eastern())
+
+	afterFriday := time.Date(2016, 07, 22, 16, 1, 0, 0, Eastern())
+	mondayClose := time.Date(2016, 07, 25, 16, 0, 0, 0, Eastern())
+
+	weekend := time.Date(2016, 07, 23, 9, 31, 0, 0, Eastern())
+
+	assert.True(todayClose.Equal(NextMarketClose(beforeClose)))
+	assert.True(tomorrowClose.Equal(NextMarketClose(afterClose)))
+	assert.True(mondayClose.Equal(NextMarketClose(afterFriday)))
+	assert.True(mondayClose.Equal(NextMarketClose(weekend)))
+}
+
+func TestCalculateMarketSecondsBetween(t *testing.T) {
+	assert := assert.New(t)
+
+	start := time.Date(2016, 07, 18, 9, 30, 0, 0, Eastern())
+	end := time.Date(2016, 07, 22, 16, 00, 0, 0, Eastern())
+
+	shouldbe := 5 * 6.5 * 60 * 60
+
+	assert.Equal(shouldbe, CalculateMarketSecondsBetween(start, end))
+}
+
+func TestCalculateMarketSecondsBetweenLTM(t *testing.T) {
+	assert := assert.New(t)
+
+	start := time.Date(2015, 07, 01, 9, 30, 0, 0, Eastern())
+	end := time.Date(2016, 07, 01, 9, 30, 0, 0, Eastern())
+
+	shouldbe := 253 * 6.5 * 60 * 60 //253 full market days since this date last year.
+	assert.Equal(shouldbe, CalculateMarketSecondsBetween(start, end))
+}
--- a/nyse_market_hours_range.go
+++ b/nyse_market_hours_range.go
@ -0,0 +1,65 @@
+package chart
+
+import (
+	"fmt"
+	"time"
+
+	"github.com/wcharczuk/go-chart/date"
+)
+
+// NYSEMarketHoursRange is a special type of range that compresses a time range into just the
+// market (i.e. NYSE operating hours and days) range.
+type NYSEMarketHoursRange struct {
+	Min    time.Time
+	Max    time.Time
+	Domain int
+}
+
+// GetMin returns the min value.
+func (mhr NYSEMarketHoursRange) GetMin() float64 {
+	return TimeToFloat64(mhr.Min)
+}
+
+// GetMax returns the max value.
+func (mhr NYSEMarketHoursRange) GetMax() float64 {
+	return TimeToFloat64(mhr.Max)
+}
+
+// SetMin sets the min value.
+func (mhr *NYSEMarketHoursRange) SetMin(min float64) {
+	mhr.Min = Float64ToTime(min)
+}
+
+// SetMax sets the max value.
+func (mhr *NYSEMarketHoursRange) SetMax(max float64) {
+	mhr.Max = Float64ToTime(max)
+}
+
+// GetDelta gets the delta.
+func (mhr NYSEMarketHoursRange) GetDelta() float64 {
+	min := TimeToFloat64(mhr.Min)
+	max := TimeToFloat64(mhr.Min)
+	return max - min
+}
+
+// GetDomain gets the domain.
+func (mhr NYSEMarketHoursRange) GetDomain() int {
+	return mhr.Domain
+}
+
+// SetDomain sets the domain.
+func (mhr *NYSEMarketHoursRange) SetDomain(domain int) {
+	mhr.Domain = domain
+}
+
+func (mhr NYSEMarketHoursRange) String() string {
+	return fmt.Sprintf("MarketHoursRange [%s, %s] => %d", mhr.Min.Format(DefaultDateFormat), mhr.Max.Format(DefaultDateFormat), mhr.Domain)
+}
+
+// Translate maps a given value into the ContinuousRange space.
+func (mhr NYSEMarketHoursRange) Translate(value float64) int {
+	valueTime := Float64ToTime(value)
+	deltaSeconds := date.CalculateMarketSecondsBetween(mhr.Min, mhr.Max)
+	valueDelta := date.CalculateMarketSecondsBetween(mhr.Min, valueTime)
+	return int(float64(valueDelta) / float64(deltaSeconds))
+}
--- a/util.go
+++ b/util.go
@ -20,6 +20,11 @@ func TimeToFloat64(t time.Time) float64 {
 	return float64(t.UnixNano())
 }

+// Float64ToTime returns a time from a float64.
+func Float64ToTime(tf float64) time.Time {
+	return time.Unix(0, int64(tf))
+}
+
 // MinAndMax returns both the min and max in one pass.
 func MinAndMax(values ...float64) (min float64, max float64) {
 	if len(values) == 0 {